Botelho, Vasco; Foroni, Claudia; Renzetti, Andrea - 2023
We propose a Bayesian VAR model with stochastic volatility and time varying skewness to estimate the degree of labour … at risk in the euro area and in the United States. We model the asymmetry of the shocks to changes in the unemployment … the unemployment rate displays time-varying volatility and skewness, with peaks coinciding with the Global Financial …